Showing 1 - 10 of 64
Many researchers believe that the Beveridge-Nelson decomposition leads to permanent and transitory components whose shocks are perfectly negatively correlated. Indeed, some even consider it to be a property of the decomposition. We demonstrate that the Beveridge-Nelson decomposition does not...
Persistent link: https://www.econbiz.de/10005198628
Persistent link: https://www.econbiz.de/10005198678
Persistent link: https://www.econbiz.de/10010359935
This paper reexamines the relationship between trade integration and business cycle synchronization (BCS) using new value-added trade data for 63 advanced and emerging economies during 1995–2012. In a panel framework, we identify a strong positive impact of trade intensity on BCS - conditional...
Persistent link: https://www.econbiz.de/10013055257
This paper reexamines the relationship between trade integration and business cycle synchronization (BCS) using new value-added trade data for 63 advanced and emerging economies during 1995–2012. In a panel framework, we identify a strong positive impact of trade intensity on BCS—conditional...
Persistent link: https://www.econbiz.de/10014411173
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10010325871
Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...
Persistent link: https://www.econbiz.de/10011496033
Persistent link: https://www.econbiz.de/10005432266
Persistent link: https://www.econbiz.de/10005432267
Conventionally, shocks to permanent and transitory components in the unobserved components (UC) model for the log of real GDP are assumed to be uncorrelated. This assumption is mainly for identification of model parameters. In this paper, we show important implications of two popular measures of...
Persistent link: https://www.econbiz.de/10005432327